add original bfgs optimizer and add rbf with inverse lengthscale

GPy/inference/optimization/optimization.py

@@ -144,6 +144,33 @@ class opt_lbfgsb(Optimizer):
         if opt_result[2]['warnflag']==2:
             self.status = 'Error' + str(opt_result[2]['task'])
             
+class opt_bfgs(Optimizer):
+    def __init__(self, *args, **kwargs):
+        Optimizer.__init__(self, *args, **kwargs)
+        self.opt_name = "BFGS (Scipy implementation)"
+
+    def opt(self, f_fp=None, f=None, fp=None):
+        """
+        Run the optimizer
+
+        """
+        rcstrings = ['','Maximum number of iterations exceeded', 'Gradient and/or function calls not changing']
+
+        opt_dict = {}
+        if self.xtol is not None:
+            print("WARNING: bfgs doesn't have an xtol arg, so I'm going to ignore it")
+        if self.ftol is not None:
+            print("WARNING: bfgs doesn't have an ftol arg, so I'm going to ignore it")
+        if self.gtol is not None:
+            opt_dict['pgtol'] = self.gtol
+
+        opt_result = optimize.fmin_bfgs(f, self.x_init, fp, disp=self.messages,
+                                            maxiter=self.max_iters, full_output=True, **opt_dict)
+        self.x_opt = opt_result[0]
+        self.f_opt = f_fp(self.x_opt)[0]
+        self.funct_eval = opt_result[4]
+        self.status = rcstrings[opt_result[6]]
+
 class opt_simplex(Optimizer):
     def __init__(self, *args, **kwargs):
         Optimizer.__init__(self, *args, **kwargs)
@@ -255,6 +282,7 @@ def get_optimizer(f_min):
     optimizers = {'fmin_tnc': opt_tnc,
           'simplex': opt_simplex,
           'lbfgsb': opt_lbfgsb,
+          'org-bfgs': opt_bfgs,
           'scg': opt_SCG,
           'adadelta':Opt_Adadelta}
 

GPy/kern/_src/rbf.py

@@ -7,6 +7,8 @@ from .stationary import Stationary
 from .psi_comp import PSICOMP_RBF
 from .psi_comp.rbf_psi_gpucomp import PSICOMP_RBF_GPU
 from ...util.config import *
+from ...core import Param
+from GPy.core.parameterization.transformations import Logexp
 
 class RBF(Stationary):
     """
@@ -18,12 +20,17 @@ class RBF(Stationary):
 
     """
     _support_GPU = True
-    def __init__(self, input_dim, variance=1., lengthscale=None, ARD=False, active_dims=None, name='rbf', useGPU=False):
+    def __init__(self, input_dim, variance=1., lengthscale=None, ARD=False, active_dims=None, name='rbf', useGPU=False, inv_l=False):
         super(RBF, self).__init__(input_dim, variance, lengthscale, ARD, active_dims, name, useGPU=useGPU)
         if self.useGPU:
             self.psicomp = PSICOMP_RBF_GPU()
         else:
             self.psicomp = PSICOMP_RBF()
+        self.use_invLengthscale = inv_l
+        if inv_l:
+            self.unlink_parameter(self.lengthscale)
+            self.inv_l = Param('inv_lengthscale',1./self.lengthscale**2, Logexp())
+            self.link_parameter(self.inv_l)
 
     def K_of_r(self, r):
         return self.variance * np.exp(-0.5 * r**2)
@@ -48,6 +55,10 @@ class RBF(Stationary):
         assert self.input_dim == 1 #TODO: higher dim spectra?
         return self.variance*np.sqrt(2*np.pi)*self.lengthscale*np.exp(-self.lengthscale*2*omega**2/2)
     
+    def parameters_changed(self):
+        if self.use_invLengthscale: self.lengthscale[:] = 1./np.sqrt(self.inv_l+1e-200)
+        super(RBF,self).parameters_changed()
+
     #---------------------------------------#
     #             PSI statistics            #
     #---------------------------------------#
@@ -68,6 +79,8 @@ class RBF(Stationary):
         dL_dvar, dL_dlengscale = self.psicomp.psiDerivativecomputations(self, dL_dpsi0, dL_dpsi1, dL_dpsi2, Z, variational_posterior)[:2]
         self.variance.gradient = dL_dvar
         self.lengthscale.gradient = dL_dlengscale
+        if self.use_invLengthscale:
+            self.inv_l.gradient = dL_dlengscale*(self.lengthscale**3/-2.)
 
     def gradients_Z_expectations(self, dL_dpsi0, dL_dpsi1, dL_dpsi2, Z, variational_posterior):
         return self.psicomp.psiDerivativecomputations(self, dL_dpsi0, dL_dpsi1, dL_dpsi2, Z, variational_posterior)[2]
@@ -75,3 +88,10 @@ class RBF(Stationary):
     def gradients_qX_expectations(self, dL_dpsi0, dL_dpsi1, dL_dpsi2, Z, variational_posterior):
         return self.psicomp.psiDerivativecomputations(self, dL_dpsi0, dL_dpsi1, dL_dpsi2, Z, variational_posterior)[3:]
     
+    def update_gradients_diag(self, dL_dKdiag, X):
+        super(RBF,self).update_gradients_diag(dL_dKdiag, X)
+        if self.use_invLengthscale: self.inv_l.gradient =self.lengthscale.gradient*(self.lengthscale**3/-2.)
+
+    def update_gradients_full(self, dL_dK, X, X2=None):
+        super(RBF,self).update_gradients_full(dL_dK, X, X2)
+        if self.use_invLengthscale: self.inv_l.gradient =self.lengthscale.gradient*(self.lengthscale**3/-2.)